2016 NBER-NSF Time Series Conference (September 16-17, 2016)
Columbia University
Kellogg Center, 1501, International Affairs Building
420 W. 118 St. New York, 10027

Final Program ( pdf of papers available here)


Registration starts Friday, Sept. 16 at 10:30 (IAB 1501)


Welcome and opening remarks: 10:50am


Session 1 (IAB 1501): 11am-12:30pm.

Chair: Mike West (Duke University)



Lunch and Poster Session 1 (IAB 1101): 12:30-2pm

Session 2 (IAB 1501): 2:00pm-3:30pm

Chair: Richard Davis (Columbia University)


Coffee break

Session 3 (IAB 1501): 4:00pm-5:30pm

Chair: Victor Solo (University of New South Wales)



6-10pm: Dinner at Calle Ocho, 45 W. 81 St.

Breakfast: Saturday, 8:30am-9am

Session 4 (IAB 1501): 9am-10:30am

Chair: Michael McCracken (Federal Reserve of St. Louis)


Coffee Break

Session 5 (IAB 1501): 11am-12:30pm

Jushan Bai (Columbia University)



Lunch and Poster Session 2: 12:30pm-2pm (IAB 1101)

Session 6 (IAB 1501): 2pm-3:30pm

Chair: Tim Vogelsang (MSU)



Adjourn

Poster Session 1, Friday

  1. A regularization approach to the dynamic panel data model estimation
  2. Marine Carrasco (University of Montreal)

  3. Large-dimensional factor modeling based on high-frequency observations
  4. Markus Pelger (Stanford University)

  5. The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
  6. Leland Farmer (University of California, San Diego)

  7. Estimation with Aggregate Shocks
  8. Guido Kuersteiner (University of Maryland)

  9. Dynamic Bayesian predictive synthesis for time series forecasting
  10. Kenichiro McAlinn (Duke University)

  11. Wild Multiplicative Bootstrap for GMM Estimators in Time Series
  12. Lorenzo Camponovo (University of St. Gallen)

  13. Conditional Tail Expectation for Non-stationary Processes
  14. Henghsiu Tsai (Academia Sinica)

  15. Identification of Long-run Effects in Near-Integrated Systems
  16. Peter Boswijk (Tinbergen Institute)

  17. Identification, estimation and applications of a bivariate long-range dependent time series model with general phase
  18. Stefanos Kechagias (SAS Institute)

  19. Nonparametric Change Point Detection in Multivariate Nonstationary Time Series
  20. Raanju Sundararajan (Texas A and M University)

  21. Estimation of Quadratic Forms for High Dimensional Time Series
  22. Haoyang Liu (University of California, Berkeley)

  23. Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models: With an Application
  24. Francisco Ruge-Murcia (Mcgill University)

  25. News or Noise: The Missing Link
  26. Kyle Jurado (Duke University)

  27. How Risky is Consumption in the Long-Run? Benchmark Estimates from a Robust Eimator
  28. Ian Dew-Becker (Northwesten University)


Poster Session 2, Saturday

  1. Estimating Risk Premia Using Only Large Cross-Sections
  2. Valentina Raponi and Paolo Zaffaroni (Imperial College)

  3. A Max-Correlation White Noise Test for Weakly Dependent Time Series
  4. Kaiji Motegi (Waseda University)

  5. Empirical Characteristic Function-based Inference for Locally Stationary Processes
  6. Marco Meyer (University of Mannheim)

  7. Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
  8. Dongho Song (Boston College)

  9. Estimated Wold Representation and Spectral Density Riven Bootstrap for Time Series
  10. Jonas Krampe (TU Braunschweig)

  11. The Cepstral Model for Multivariate Time Series: The Vector Exponential Model
  12. Scott Holan (University of Missouri)

  13. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
  14. Andrea Carriero (University of London, Queen Mary)

  15. Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility
  16. Elmar Mertens (Federal Reserve Board)

  17. Modeling seasonal adjustment of daily time series
  18. Tucker McElroy (U.S. Census Bureau)

  19. The Effects of Seasonal Heteroskedasticity in Time Series on Trend Estimation and Seasonal Adjustment
  20. Thomas Trimbur (U.S. Census Bureau)

  21. A Bayesian Infinite Hidden Markov Structural Vector Autoregressive Model
  22. Didier Nibbering (Econometric Institute)

  23. Pre-test Based Inference for Panel Autoregression
  24. John Chao (University of Maryland)

  25. Monte Carlo Two-Stage Indirect Inference (2SIF) for Autoregressive Panel
  26. Lynda Khalaf (Carleton UNiversity)

  27. Semiparametric Estimation for Non-Gaussian Non-minimum Phase ARMA Models
  28. Jing Zhang (Columbia University)